ETF Analysis
Sharpe, Sortino, or Calmar? Choosing the Right Risk-Adjusted Metric for Your Goal
The three ratios differ only in what they call "risk" in the denominator: Sharpe uses total volatility, Sortino uses downside volatility, Calmar uses...
Independent ETF & portfolio research
The fact sheet gives you a number.
We compute the one it left out.
A fund tells you it holds 500 stocks, costs 0.03%, and returned so much over five years. None of those answer the question you actually have. Every article here recomputes the figure that does — and shows the working, so you can check it.
236 Articles
71 Funds analysed
25 Measures defined
102 Head-to-head
Latest
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Reference By fund 71 ETFs
One index per fund: every article that examines it, the measures applied,
and what it is most often compared against.
By measure 25 definitions
Formula, how to read it, and what the number cannot tell you — the
part fact sheets leave out.
Before you cite Methodology
Data sources, return conventions, and the stated limits of every figure
published here.
Most analysed funds
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Factor Crowding and Alpha Decay: What Happens to a Premium After Everyone Reads the Paper
Documented return predictors decay after they are published — roughly 58% lower post-publication than in the original sample, per McLean & Pontiff (2016) —...
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Duration and Convexity: What Bond-ETF Investors Get Wrong About Rate Sensitivity
Duration, not credit, is the dominant risk in high-quality bond ETFs — and TLT carries roughly three times BND's. Convexity is real but it is a second-order...
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Can Valuation Predict Returns? Using CAPE and Earnings Yield as a Long-Horizon Compass
Valuation metrics like Shiller CAPE and earnings yield explain a meaningful slice of 10-to-15-year equity returns, but almost none of next year's — the...
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Why Median Wealth Trails Average Wealth: Skewness, Compounding, and Realistic Expectations
Average wealth sits well above median wealth because compounded returns are right-skewed — a handful of large outcomes pull the mean up while the typical...
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The Real Cost of Tail-Risk Hedging: Put Options vs Cash vs Trend Following
Protective puts pay off precisely when you need them, but the continuously rolled premium is a persistent drag — the academic estimate is a few percent per...
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The Low-Volatility Anomaly: Why Boring Stocks Keep Beating the Theory
The low-volatility anomaly — lower-risk stocks earning competitive or better risk-adjusted returns — has survived decades of out-of-sample testing, but the...
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Absolute Momentum as a Risk Switch: What Time-Series Trend Following Does That Buy-and-Hold Can't
Absolute (time-series) momentum uses an asset's own past return as a binary risk switch: hold when the trend is positive, step aside when it turns negative....
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Fractional Kelly: A Disciplined Way to Size a High-Volatility Satellite Sleeve
Full Kelly maximizes long-run compound growth in theory, but it assumes you know your edge exactly — a condition that essentially never holds with a...
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Monte Carlo vs the 4% Rule: Simulating Retirement Withdrawals Instead of Assuming Them
The 4% rule is a single conclusion drawn from one country's worst historical sequence; Monte Carlo is a method that asks how often a plan survives across...